We had an interesting scenario. I processioned a Madman, which we thought would give me +4 actions and +6 cards (I had three in my hand, so draw three twice). Was that the correct play when using the procession card, or does the madman action end after the first play, netting me +2 actions and +3 cards?
Do exactly what it says on the card, in the order it says it. So:
Procession says you may play an action card from your hand twice. You pick Madman.
You play Madman once. You get +2 actions, and then return it to the Madman pile. If you do, +1 card per card in your hand - you did, so +3 cards.
You play Madman a second time. You get +2 actions again, and try to return it to the Madman pile, but you can't - it's already there. If you do, +1 card per card in your hand - you didn't, so you don't get any cards. (This kind of situation is exactly why it says "if you do".)
Procession says to trash the action card - but you can't, since you don't have it anymore. Oh well.
Procession says to gain an action card costing exactly one more than it - you try to do this, but the Madman costs zero, and there probably isn't anything that costs 1, so you don't gain anything.
So adding up: you get +4 actions, +3 cards, and the Madman is back in the pile. (That wasn't one of your suggestions.)
In sum, +4 actions and +3 cards. When you first return madman, it is not in your hand anymore, hence you cannot return it the second time or trash it after that.
Why: See the rules, page 7:
In rare circumstances an effect may try to move a card that is not where that effect expects the card to be. In those cases the card does not move - the effect has "lost track" of the card. Losing track of a card prevents it from being moved, but does not stop anything else from happening
And after that there's the exact example of playing procession on a madman.